Exact and heuristic approaches for the index tracking problem with UCITS constraints

Index tracking aims at determining an optimal portfolio that replicates the performance of an index or benchmark by investing in a smaller number of constituents or assets. The tracking portfolio should be cheap to maintain and update, i.e., invest in a smaller number of constituents than the index,...

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Vydané v:	Annals of operations research Ročník 205; číslo 1; s. 235 - 250
Hlavní autori:	Scozzari, Andrea, Tardella, Fabio, Paterlini, Sandra, Krink, Thiemo
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Boston Springer US 01.05.2013 Springer Springer Nature B.V
Predmet:	Algorithms Benchmarks Business and Management Combinatorial analysis Combinatorics Constituents Costs Datasets Heuristic Heuristic methods Heuristic programming Investments Investors Linear programming Mathematical economics Mathematical models Operations research Operations Research/Decision Theory Performance indices Portfolio management Quadratic programming Securities markets Stock exchanges Studies Theory of Computation Tracking Tracking problem Italy Differential evolution Mixed integer quadratic programming Index tracking Cardinality constraints Stochastic search heuristics
ISSN:	0254-5330, 1572-9338
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